EFN517: Fixed Income and Alternative Investments Semester 1, 2022
Assignment The Assignment is due by 11:59PM May 27, 2022
Total Points: 30
Assignment Instructions
Please submit your assignment through the “Assessments” section on Blackboard. Please submit two files:
1) An Excel Worksheet that includes data, computations, and graphs.
– You will need to upload your excel spreadsheet containing all of your calculations
– No specific format required. Just make it clear what you are doing in each section, e.g. Duration for Bond XYZ.
Please name the file as follows: YourLastName_YourFirstName_Data.xlsx
2) A Word (or PDF) file with your written answers and comments. Please focus on the key comments (of your analysis performed in the Excel file) and on the answers to the questions. The file must include a total of max 6 pages. The document may contain key tables and charts from your Excel Worksheet. Please report all the sources and other relevant information.
Structure of report:
- – Discuss your view on Interest rates – include references to any websites, articles etc.
- – Discuss the current portfolio, including an explanation of the required calculations.
- – Explain how do you want to change the (duration of the) current portfolio (link to your view
on rates)
- – Describe how you will use futures to change duration, including an explanation of required
calculations.
- – Describe what risks you face from your strategies.
- – Note: When writing your report, refer to where in the spreadsheet each calculation/data is located (Tab name, cell numbers, etc…)
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